Focus stacking requires that images are shot from the same viewpoint. Otherwise relative position of the object in the scene changes too much. In your case camera changed distance and viewpoint considerably. Take a look at the background and note how it shifts relative to the fly. Photoshop is better at aligning such stacks but to achieve good results you need to shoot stacks properly anyway.

If the camera moves along its optical axis (as in case of macrorails) the parallax (change in relative position of objects) is negligibly small. On the other hand, if the camera swings to sides, then the result is in most cases far from perfect.